中国上市商业银行利率衍生工具风险管理作用研究

Research on the Usage of Interest Rate Derivatives of Chinese Listed Commercial Banks Risk Management Effectiveness

利率衍生工具只有降低商业银行信贷对存款等利率不敏感融资来源的依赖,并有助于将新增利率敏感性融资转化为信贷,才是最大限度的发挥了利率衍生工具的风险管理效应。基于此标准,本文实证结果发现,第一,中国商业银行利率衍生工具的使用没有显著的降低对存款的依赖;第二,利率衍生工具的使用增加了中国上市商业银行利率风险管理能力,使得商业银行能够依靠利率敏感性负债支撑贷款增长;第三,中国规模大的上市商业银行的利率衍生工具的使用降低了对存款的依赖,但无助于将利率敏感性负债转化为信贷增长;而规模较小的商业银行的实证结果与之相反。

Only when interest rate derivatives lower the credit’s dependence on deposit for commercial banks and induce non-deposit interest rate sensitive funding to transform to loan growth,it does perform its risk management function at most.Based on this principle,this paper empirically finds that first,the usage of interest rate derivatives does not lower dependence on deposit for Chinese listed commercial banks;second,the usage of interest rate derivatives does increase interest rate risk management which is mainly reflected by transformation of non-deposit interest rate sensitive funding to loan;third,the usage of interest rate derivatives in large commercial banks lowers their dependence on deposit,which is contrary to relatively small commercial banks.